I'm not abandoning the system and using the 120 min in place of
it. You didn't listen. I even stated that in times like this, the
120 min system is very prone to false signals and whipsaws now in
an enviroment like this for a while. For example I expect the
market to be in a chop mode now, i.e. sharp ABC type of moves and
the risk there is the 120 min could trigger at the top of wave B's
where the market is then ready to pullback again. Trending systems
work better in trending environments. And on the flip side the
reversion to mean systems will likely work better in this type of
environment.
yes I talked about last week being an outlier but the trades are
not closed out, I'm not going to call them losing trades here until
they close out - I think there's a strong possibility that the 2nd
and 3rd entries will be winners on the Trend/Pullback and the 1st
and 2nd entries on the CCI and QE BTS will be winners. Unless the
market were to dump another 5 or 10% here, which anything is
possible. As I said I plan to let the trades go where they
may, close out then we'll reassess. Otherwise I have no plans
too stop the SPY systems, the only thing I said is that we will all
look at the trades after they close out and then see what changes
we can make etc. And as Steviebe294 just said - yes we can
also consider some flag like that - but I think that needs to be
made after the trades close out. Also some flag to suspend
trades could only apply to some systems but not globally - for
example I have systems like the bear long, bull exhaustion that
ONLY trigger on market melt downs - you can't flag those out
because they are meant to trigger in situations like this
Also for now the max historical draw downs have not been hit on
these - should these trades far exceed the max historical draw down
then we can say with certainty that these sub systems were out of
bounds, but for now we can't
I will be sending the max historical draw downs for you guys if
you wish to use those as stops, or you can stop out on your own if
your personal risk tolerance is met. and and remember your personal
risk profile is your own, which if you need to stop out do so. And
also no one should be trading a huge percentage of their total
accounts to any one system, if you have too much invested you might
need to consider trimming but that's a personal choice on your
own
another comment about the reversion to mean systems - another
option is to simply provide all the signals along with the
statistics such as the max historical draw down, then you have all
the data you need - you can do them or not and if you needed a hard
stop can place it just wider than the max historical draw downs.
on a side note - funny the RSI oversold sub system is probably
going long today. That sub system is covered over by the one chart
I have 8 systems on it, since others triggered first I do not send
trades for this one. However one option is to say: okay guys I have
20 sub systems - I'm simply going to tell let you know when any of
them take a trade, here's all the statistics and it's up to you to
manage your risk positions size, how many of them you do or
ignore
here's an image of all the long sub systems: currently we have
the 3 entries on Trend/Pullback, two entries on CCI and QE BTS.
However Bull exhaust is long as well (I don't send orders because
again it's covered up), and today the RSI oversold is going long,
bottom right, which again I don't send orders out. By the way the
max historical draw down on the RSI oversold is 5%.
I think one solution is for me to make a Google Spreadsheet like
I have with the DVT's and add the statistics to the table along
with max historical draw downs, that way you guys can quickly
reference them and know the general stats and the max 'heat' that
sub system took in the past.
The Trend/Pullback - has a max historical draw down of 11.5% on
the first entry, by the way the trade closed slightly positive by
the end, the date was Oct 1997
The QE BTS has a max historical draw down of 9.5%, was in Oct
2014 and that 1st entry still make 18% despite being down almost
10% at one point
the CCI had a max draw down of 16% on the first entry, 14% on
the 2nd, and 8% on the 3rd. However that was Oct 2008, moves like
that were the norm. Those trades ended up making 4%, 12%, and 21%
despite the intra trade draw downs. However that's also an
outlier as most other drawdowns are only a few %.
The bull exhaust 2 which is also long as I stated had a max
historical draw down 11% in Dec 2018 and the trade ended up making
8%
Matt - I love your systems and appreciate all the work you have
done to make them better. FWIW I personally like the idea of
knowing what each system is doing along with the general stats for
that system then I can make the decision of how much to add, buy,
sell etc. For example you may have one system long with another
short. In that scenario some people may want to just go flat and
wait for better clarity. Anyways, thanks again for all that
you do!
again read my post about max historical draw downs to some of
these sub systems - that's why even though clearly this wasn't fun,
these haven't exceeded those. That's why I can't come out and
say okay guys the systems are broken and this time is different?
Clearly those past trades went through some more extreme
times during those trades - of course these have not closed yet,
we'll see how they end up.
but I like my idea about making a table with all that data for
the systems
I started working on the table, the final format will be
different but here's some of what I'll show. will put it on
the website. Then when system trades occur you can simply
reference
Great matt, Having them at each entry level would be great if
possible?
I have analysed the spy system over 25 years and have draw down
statistics for each entry, but as the spy systems as a whole not
the individual systems at each entry level. Like entry 3 have a max
DD of 4.85%. Entry 4 about 2.85% max. I have planned my entry
capital allotment based on these DDs. Beware of es futures
trades on entries 1 and 2 as can get Margin calls on their large
DDs
the general stats like winning%, profit factor time in trade are
for all trades, but for the max draw down for now I may just show
the 1st entry for simplicity
Posted by retirefire on 2nd of Mar 2020 at 02:12 pm
THANKS MATT for all the WORK plus O.T. I'm sure most here
realize who pulls the trading trigger and owns the responsibility
for their trades. So even more LONG trades firing all the
more confirmation stick with systems.
Posted by tradeit007 on 2nd of Mar 2020 at 10:40 am
Matt, you provide an outstanding service. The velocity of this
move down is unprecedented - no "system" could have factored it in.
Real traders should not complain, IMO.
Posted by sonofrebel on 2nd of Mar 2020 at 10:04 am
Agree on keeping systems - you have fully shared stats with us -
it is our responsibility for the trades and the results. Data
included in TradeStation report for largest losing trade, e.g
trend/pullback was $440.22 but max intra-trade draw-down would be
helpful in understanding "max pain", at least in the past.
Interesting that they have not got to that point yet.
As others have said, excellent newsletter with review of past
sell offs - thanks.
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I'm not abandoning the system
Here's some thoughts on the reversion to mean system trades
Posted by matt on 2nd of Mar 2020 at 09:52 am
I'm not abandoning the system and using the 120 min in place of it. You didn't listen. I even stated that in times like this, the 120 min system is very prone to false signals and whipsaws now in an enviroment like this for a while. For example I expect the market to be in a chop mode now, i.e. sharp ABC type of moves and the risk there is the 120 min could trigger at the top of wave B's where the market is then ready to pullback again. Trending systems work better in trending environments. And on the flip side the reversion to mean systems will likely work better in this type of environment.
yes I talked about last week being an outlier but the trades are not closed out, I'm not going to call them losing trades here until they close out - I think there's a strong possibility that the 2nd and 3rd entries will be winners on the Trend/Pullback and the 1st and 2nd entries on the CCI and QE BTS will be winners. Unless the market were to dump another 5 or 10% here, which anything is possible. As I said I plan to let the trades go where they may, close out then we'll reassess. Otherwise I have no plans too stop the SPY systems, the only thing I said is that we will all look at the trades after they close out and then see what changes we can make etc. And as Steviebe294 just said - yes we can also consider some flag like that - but I think that needs to be made after the trades close out. Also some flag to suspend trades could only apply to some systems but not globally - for example I have systems like the bear long, bull exhaustion that ONLY trigger on market melt downs - you can't flag those out because they are meant to trigger in situations like this
Also for now the max historical draw downs have not been hit on these - should these trades far exceed the max historical draw down then we can say with certainty that these sub systems were out of bounds, but for now we can't
I will be sending the max historical draw downs for you guys if you wish to use those as stops, or you can stop out on your own if your personal risk tolerance is met. and and remember your personal risk profile is your own, which if you need to stop out do so. And also no one should be trading a huge percentage of their total accounts to any one system, if you have too much invested you might need to consider trimming but that's a personal choice on your own
another comment about the reversion
Posted by matt on 2nd of Mar 2020 at 02:04 pm
another comment about the reversion to mean systems - another option is to simply provide all the signals along with the statistics such as the max historical draw down, then you have all the data you need - you can do them or not and if you needed a hard stop can place it just wider than the max historical draw downs.
on a side note - funny the RSI oversold sub system is probably going long today. That sub system is covered over by the one chart I have 8 systems on it, since others triggered first I do not send trades for this one. However one option is to say: okay guys I have 20 sub systems - I'm simply going to tell let you know when any of them take a trade, here's all the statistics and it's up to you to manage your risk positions size, how many of them you do or ignore
here's an image of all the long sub systems: currently we have the 3 entries on Trend/Pullback, two entries on CCI and QE BTS. However Bull exhaust is long as well (I don't send orders because again it's covered up), and today the RSI oversold is going long, bottom right, which again I don't send orders out. By the way the max historical draw down on the RSI oversold is 5%.
I think one solution is for me to make a Google Spreadsheet like I have with the DVT's and add the statistics to the table along with max historical draw downs, that way you guys can quickly reference them and know the general stats and the max 'heat' that sub system took in the past.
The Trend/Pullback - has a max historical draw down of 11.5% on the first entry, by the way the trade closed slightly positive by the end, the date was Oct 1997
The QE BTS has a max historical draw down of 9.5%, was in Oct 2014 and that 1st entry still make 18% despite being down almost 10% at one point
the CCI had a max draw down of 16% on the first entry, 14% on the 2nd, and 8% on the 3rd. However that was Oct 2008, moves like that were the norm. Those trades ended up making 4%, 12%, and 21% despite the intra trade draw downs. However that's also an outlier as most other drawdowns are only a few %.
The bull exhaust 2 which is also long as I stated had a max historical draw down 11% in Dec 2018 and the trade ended up making 8%
Matt - I love your
Posted by chadtech on 2nd of Mar 2020 at 03:43 pm
Matt - I love your systems and appreciate all the work you have done to make them better. FWIW I personally like the idea of knowing what each system is doing along with the general stats for that system then I can make the decision of how much to add, buy, sell etc. For example you may have one system long with another short. In that scenario some people may want to just go flat and wait for better clarity. Anyways, thanks again for all that you do!
again read my post about
Posted by matt on 2nd of Mar 2020 at 02:07 pm
again read my post about max historical draw downs to some of these sub systems - that's why even though clearly this wasn't fun, these haven't exceeded those. That's why I can't come out and say okay guys the systems are broken and this time is different? Clearly those past trades went through some more extreme times during those trades - of course these have not closed yet, we'll see how they end up.
but I like my idea about making a table with all that data for the systems
I started working on the
Posted by matt on 2nd of Mar 2020 at 03:13 pm
I started working on the table, the final format will be different but here's some of what I'll show. will put it on the website. Then when system trades occur you can simply reference
Great matt, Having them at
Posted by elliotw on 2nd of Mar 2020 at 04:11 pm
Great matt, Having them at each entry level would be great if possible?
I have analysed the spy system over 25 years and have draw down statistics for each entry, but as the spy systems as a whole not the individual systems at each entry level. Like entry 3 have a max DD of 4.85%. Entry 4 about 2.85% max. I have planned my entry capital allotment based on these DDs. Beware of es futures trades on entries 1 and 2 as can get Margin calls on their large DDs
Matt that looks great --
Posted by puma on 2nd of Mar 2020 at 03:30 pm
Matt that looks great -- are those stats for all entries combined for each trade type?
the general stats like winning%,
Posted by matt on 2nd of Mar 2020 at 03:31 pm
the general stats like winning%, profit factor time in trade are for all trades, but for the max draw down for now I may just show the 1st entry for simplicity
THANKS MATT for all the
Posted by retirefire on 2nd of Mar 2020 at 02:12 pm
THANKS MATT for all the WORK plus O.T. I'm sure most here realize who pulls the trading trigger and owns the responsibility for their trades. So even more LONG trades firing all the more confirmation stick with systems.
Matt you have the patience
Posted by iaranger on 2nd of Mar 2020 at 11:11 am
Matt you have the patience of a Saint
Matt, you provide an outstanding
Posted by tradeit007 on 2nd of Mar 2020 at 10:40 am
Matt, you provide an outstanding service. The velocity of this move down is unprecedented - no "system" could have factored it in. Real traders should not complain, IMO.
Agree on keeping systems -
Posted by sonofrebel on 2nd of Mar 2020 at 10:04 am
Agree on keeping systems - you have fully shared stats with us - it is our responsibility for the trades and the results. Data included in TradeStation report for largest losing trade, e.g trend/pullback was $440.22 but max intra-trade draw-down would be helpful in understanding "max pain", at least in the past. Interesting that they have not got to that point yet.
As others have said, excellent newsletter with review of past sell offs - thanks.